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Asymmetric mean reversion of Bitcoin price returns
16 references·16 citing·38 second hopsampled
Asymmetric mean reversion of Bitcoin price returns (2018)Asymmetric mean reversion of Bitcoin pric…Price manipulation in the Bitcoin ecosystem (2018)Price manipulation in the Bit…Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Is Bitcoin a Hedge or Safe-Ha…Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)RETRACTED: Datestamping the B…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinOn the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)EXPLOSIVE BEHAVIOR IN THE 199…Causes and Consequences of Earnings Manipulation: An Analysis of Firms Subject to Enforcement Actions by the SEC* (1996)Causes and Consequences of Ea…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis (2024)The use of high-frequency dat…Cryptocurrency volatility: A review, synthesis, and research agenda (2024)Cryptocurrency volatility: A …Challenges to corporate supply chain stability under the trend of expert power concentration (2024)Challenges to corporate suppl…Market efficiency of cryptocurrency: evidence from the Bitcoin market (2023)Market efficiency of cryptocu…Do financial innovations influence bank performance? Evidence from China (2023)Do financial innovations infl…Cryptocurrency market microstructure: a systematic literature review (2023)Cryptocurrency market microst…Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks (2023)Asymmetric volatility in the …High-frequency return and volatility spillovers among cryptocurrencies (2021)High-frequency return and vol…Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns (2021)Good Volatility, Bad Volatili…Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models (2021)Exploring the predictability …The COVID-19 Black Swan Crisis: Reaction and Recovery of Various Financial Markets (2020)The COVID-19 Black Swan Crisi…Pairs Trading in Cryptocurrency Markets (2020)Pairs Trading in Cryptocurren…Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets (2020)Measuring quantile dependence…Does Bitcoin behave as a currency?: A standard monetary model approach (2020)Does Bitcoin behave as a curr…Relationship between price and volume in the Bitcoin market (2019)Relationship between price an…Are cryptocurrencies contagious to Asian financial markets? (2019)Are cryptocurrencies contagio…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)Earnings Management During Import Relief Investigations (1991)The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems (1993)Detecting Earnings Management. (1995)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Earnings Management through Real Activities Manipulation (2003)The economic implications of corporate financial reporting (2005)Testing for a Unit Root in Time Series Regression (1988)Dating the timeline of financial bubbles during the subprime crisis (2011)TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Correlations in Price Changes and Volatility across International Stock Markets (1990)Dynamic Conditional Correlation (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)
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References

  • 1996Causes and Consequences of Earnings Manipulation: An Analysis of Firms Subject to Enforcement Actions by the SEC*4,076 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*1,130 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 2018Price manipulation in the Bitcoin ecosystem746 cited
  • 2017RETRACTED: Datestamping the Bitcoin and Ethereum bubbles655 cited
  • 2016On the inefficiency of Bitcoin

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636 cited
  • 2018Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis551 cited
  • Cited by

    • 2020The COVID-19 Black Swan Crisis: Reaction and Recovery of Various Financial Markets126 cited
    • 2020Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets72 cited
    • 2021High-frequency return and volatility spillovers among cryptocurrencies61 cited
    • 2020Pairs Trading in Cryptocurrency Markets47 cited
    • 2019Are cryptocurrencies contagious to Asian financial markets?44 cited
    • 2023Cryptocurrency market microstructure: a systematic literature review42 cited
    • 2021Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models41 cited
    • 2024Cryptocurrency volatility: A review, synthesis, and research agenda38 cited
    • 2023Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks32 cited
    • 2023Market efficiency of cryptocurrency: evidence from the Bitcoin market31 cited
    • 2020Does Bitcoin behave as a currency?: A standard monetary model approach26 cited
    • 2024The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis26 cited
    • 2024Challenges to corporate supply chain stability under the trend of expert power concentration25 cited
    • 2019Relationship between price and volume in the Bitcoin market25 cited
    • 2023Do financial innovations influence bank performance? Evidence from China23 cited
    • 2021Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns22 cited